SPEU Options History — March 2023

In March 2023, SPEU traded between $35.66 and $38.02. ATM implied volatility averaged 33.7%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 15.1% (HV 20d: 18.6%). Max pain ranged from $35.00 to $38.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 8 of 23 days.

Notable Days

  • 2023-03-23: Highest Volume — 16 contracts
  • 2023-03-13: Largest IV spike — 272.1% change
  • 2023-03-13: Highest IV Rank — 100.0%
  • 2023-03-24: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.97$35.66$38.02$37.55$38.00
Max Pain$35.39$35.00$38.00$38.00$35.00
ATM IV33.7%21.4%88.8%21.4%44.9%
Expected Move9.1%5.8%12.9%6.1%12.9%
HV 20d18.6%13.5%22.6%14.8%22.3%
HV 60d16.0%14.8%17.0%14.9%16.7%
IV Rank24.8%7.8%100.0%8.5%39.1%
IV Percentile70.2%19.8%100.0%19.8%98.0%
Term Structure-0.9%-6.0%10.3%-4.1%-5.3%
VWIV22.6%21.7%23.5%23.5%21.7%
Skew 25d10.9%-4.5%42.4%9.6%42.4%
Skew 10d17.6%2.3%59.0%5.2%2.3%
Call IV 25d24.7%19.0%31.1%21.3%19.9%
Put IV 25d35.6%23.3%65.0%30.9%62.4%
Bid-Ask Spread %111.9690.44123.13113.17111.77
Gamma HHI0.620.460.760.620.63
Net GEX39.0K24.2K49.9K37.2K46.4K
Net DEX-496.9K-656.5K-285.2K-603.7K-653.8K
Net VEX-3.5K-4.0K-3.1K-4.0K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume1.60901610
Total OI1,061.0434781,5171,503484

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-03-01$37.55$38.0021.4%6.1%14.8%8.5%0.0%9.6%-4.1%37.2K-603.7K-4.0K0.00113.17N/AN/A014461,057
2023-03-02$37.59$38.0023.4%6.7%13.5%12.1%0.0%7.8%-1.2%46.7K-524.4K-3.6K0.00115.57N/AN/A004461,058
2023-03-03$38.02$38.0021.8%6.2%14.2%9.2%0.0%1.4%2.0%41.1K-656.5K-4.0K0.00114.94N/AN/A004461,058
2023-03-06$38.00$35.0027.1%9.5%13.8%18.8%0.0%1.9%-0.1%48.3K-641.1K-3.9K0.00121.95N/AN/A004461,058
2023-03-07$37.27$35.0036.0%10.5%15.1%34.9%0.0%6.1%-1.9%39.0K-547.8K-3.8K0.00119.88N/AN/A004461,058
2023-03-08$37.33$35.0025.4%5.8%15.0%15.6%0.0%2.5%1.0%41.9K-527.5K-3.7K0.00119.32N/AN/A004461,058
2023-03-09$36.96$35.0024.6%6.5%15.3%14.2%23.5%2.6%-1.0%40.3K-502.8K-3.7K0.0098.12N/AN/A044461,058
2023-03-10$36.67$35.0023.9%10.4%15.4%12.9%0.0%4.4%1.8%36.6K-450.0K-3.5K0.0096.19N/AN/A004461,062
2023-03-13$36.52$35.0088.8%10.8%15.2%100.0%0.0%30.7%-5.9%30.9K-434.6K-3.5K0.00119.24N/AN/A004461,062
2023-03-14$36.96$35.0045.1%10.7%15.1%39.4%0.0%2.6%-4.5%31.6K-538.9K-3.6K0.00122.37N/AN/A004461,062
2023-03-15$35.66$35.0038.7%11.1%19.2%30.5%0.0%12.9%-5.2%24.2K-354.0K-3.2K0.00113.16N/AN/A0114461,062
2023-03-16$36.23$35.0036.4%10.4%20.4%27.3%0.0%2.4%10.3%27.6K-369.0K-3.4K0.00111.82N/AN/A004461,071
2023-03-17$35.77$35.0031.4%9.0%20.7%20.3%0.0%4.5%0.1%34.0K-285.2K-3.1K0.0090.44N/AN/A004461,071
2023-03-20$36.19$35.0027.9%8.0%21.2%15.5%0.0%7.2%-0.3%39.2K-396.4K-3.3K0.0093.16N/AN/A0043642
2023-03-21$36.95$35.0025.3%7.3%22.6%12.0%0.0%13.6%-1.0%40.7K-483.2K-3.5K0.00110.08N/AN/A0043642
2023-03-22$36.91$35.0037.0%10.6%22.4%28.2%0.0%33.9%-1.9%36.5K-524.8K-3.7K0.00112.86N/AN/A0043642
2023-03-23$36.64$35.0042.4%12.2%22.2%35.7%0.0%14.3%-1.6%39.4K-483.2K-3.5K0.00120.31N/AN/A01643642
2023-03-24$36.37$35.0045.0%12.9%21.5%39.3%21.7%-4.5%2.1%39.4K-355.8K-3.2K0.00118.97N/AN/A0543643
2023-03-27$36.81$35.0029.6%8.5%21.3%17.9%0.0%2.6%-0.7%40.6K-460.9K-3.4K0.00123.13N/AN/A0043648
2023-03-28$36.73$35.0022.3%6.4%21.1%7.8%0.0%2.1%3.5%41.4K-452.2K-3.4K0.00104.71N/AN/A0043648
2023-03-29$37.33$35.0029.4%8.4%21.9%17.6%0.0%33.9%0.3%44.4K-536.7K-3.5K0.00111.66N/AN/A0043648
2023-03-30$37.92$35.0027.1%7.8%22.6%14.5%0.0%14.9%-6.0%49.9K-645.7K-3.7K0.00112.35N/AN/A0043648
2023-03-31$38.00$35.0044.9%12.9%22.3%39.1%0.0%42.4%-5.3%46.4K-653.8K-3.6K0.00111.77N/AN/A0043648